Naeher looked to have suffered a knee injury in the 20th minute, landing awkwardly after challenging Canada's Nichelle Prince to claim a cross in the penalty box. Naeher tried to continue but was replaced in the 30th minute by Adrianna Franch.
Naeher was visibly upset as she walked to the bench, and she was consoled by her USWNT teammates.
Her injury comes as a bitter blow to the USWNT, as she is regarded as one of the world's best goalkeepers and has impressed at the Olympic Games.
Naeher was the USWNT's star player in their quarterfinal win over the Netherlands. She saved Lieke Martens' penalty in normal time and then saved two spot kicks in the shootout to help the USWNT through to the semifinals.
Franch came close but was unable to save Jessie Fleming's penalty in the second-half as Canada progressed to the gold medal match on Friday.
The USWNT will now feature in the bronze-medal match on Thursday. Forward Megan Rapinoe said the defeat was "bitter to swallow."